Journal of Econometrics

1973 - 2025

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 194, issue 2, 2016

Increased correlation among asset classes: Are volatility or jumps to blame, or both? pp. 205-219

Yacine Ait-Sahalia and Dacheng Xiu

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data pp. 220-230

Donggyu Kim and Yazhen Wang

Copula structured M4 processes with application to high-frequency financial data pp. 231-241

Zhengjun Zhang and Bin Zhu

Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price pp. 242-262

Per A. Mykland and Lan Zhang

Convolutional autoregressive models for functional time series pp. 263-282

Xialu Liu, Han Xiao and Rong Chen

Testing super-diagonal structure in high dimensional covariance matrices pp. 283-297

Jing He and Song Chen

Robust inference of risks of large portfolios pp. 298-308

Jianqing Fan, Fang Han, Han Liu and Byron Vickers

Semiparametric dynamic portfolio choice with multiple conditioning variables pp. 309-318

Jia Chen, Degui Li, Oliver Linton and Zudi Lu

Asymptotics for parametric GARCH-in-Mean models pp. 319-329

Christian Conrad and Enno Mammen

Tail dependence measure for examining financial extreme co-movements pp. 330-348

Alexandru V. Asimit, Russell Gerrard, Yanxi Hou and Liang Peng

Local-momentum autoregression and the modeling of interest rate term structure pp. 349-359

Jin-Chuan Duan

On consistency of minimum description length model selection for piecewise autoregressions pp. 360-368

Richard A. Davis, Stacey A. Hancock and Yi-Ching Yao

Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients pp. 369-382

Baojun Dou, Maria Lucia Parrella and Qiwei Yao

Volume 194, issue 1, 2016

Modeling covariance breakdowns in multivariate GARCH pp. 1-23

Xin Jin and John Maheu

Multiscale adaptive inference on conditional moment inequalities pp. 24-43

Timothy Armstrong and Hock Peng Chan

Local composite quantile regression smoothing for Harris recurrent Markov processes pp. 44-56

Degui Li and Runze Li

Identification of panel data models with endogenous censoring pp. 57-75

Shakeeb Khan, Maria Ponomareva and Elie Tamer

White noise testing and model diagnostic checking for functional time series pp. 76-95

Xianyang Zhang

A simple test for moment inequality models with an application to English auctions pp. 96-115

Andres Aradillas-Lopez, Amit Gandhi and Daniel Quint

Estimating dynamic equilibrium models using mixed frequency macro and financial data pp. 116-137

Bent Jesper Christensen, Olaf Posch and Michel van der Wel

The large-sample distribution of the maximum Sharpe ratio with and without short sales pp. 138-152

Ross Maller, Steven Roberts and Rabee Tourky

A nonparametric test of a strong leverage hypothesis pp. 153-186

Oliver Linton, Yoon-Jae Whang and Yu-Min Yen

Consistent model specification tests based on k-nearest-neighbor estimation method pp. 187-202

Hongjun Li, Qi Li and Ruixuan Liu

Volume 193, issue 2, 2016

Macroeconomics and the reality of mixed frequency data pp. 294-314

Eric Ghysels

A MIDAS approach to modeling first and second moment dynamics pp. 315-334

Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov

Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs pp. 335-348

Massimiliano Marcellino and Vasja Sivec

High-dimensional copula-based distributions with mixed frequency data pp. 349-366

Dong Hwan Oh and Andrew Patton

On the use of high frequency measures of volatility in MIDAS regressions pp. 367-389

Elena Andreou

The estimation of continuous time models with mixed frequency data pp. 390-404

Marcus Chambers

Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data pp. 405-417

Francisco Blasques, Siem Jan Koopman, M. Mallee and Zhaoyong Zhang

Testing for Granger causality in large mixed-frequency VARs pp. 418-432

Thomas Götz, Alain Hecq and Stephan Smeekes

A computationally efficient method for vector autoregression with mixed frequency data pp. 433-437

Hang Qian

Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data pp. 438-446

Peter Zadrozny

Volume 193, issue 1, 2016

Kernel estimation of hazard functions when observations have dependent and common covariates pp. 1-16

James Lewis Wolter

Inference theory for volatility functional dependencies pp. 17-34

Jia Li, Viktor Todorov and George Tauchen

Double asymptotics for explosive continuous time models pp. 35-53

Xiaohu Wang and Jun Yu

Statistical inference in a random coefficient panel model pp. 54-75

Lajos Horvath and Lorenzo Trapani

Multivariate and multiple permutation tests pp. 76-91

EunYi Chung and Joseph P. Romano

Smoothed quantile regression for panel data pp. 92-112

Antonio Galvao and Kengo Kato

A discontinuity test for identification in triangular nonseparable models pp. 113-122

Carolina Caetano, Christoph Rothe and Neşe Yıldız

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework pp. 123-146

Xianyang Zhang

S-values: Conventional context-minimal measures of the sturdiness of regression coefficients pp. 147-161

Edward Leamer

Informational content of special regressors in heteroskedastic binary response models pp. 162-182

Songnian Chen, Shakeeb Khan and Xun Tang

Testing for monotonicity in unobservables under unconfoundedness pp. 183-202

Stefan Hoderlein, Liangjun Su, Halbert White and Thomas Tao Yang

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous pp. 203-214

Shin Ikeda

Goodness-of-fit test for specification of semiparametric copula dependence models pp. 215-233

Shulin Zhang, Ostap Okhrin, Qian M. Zhou and Peter X.-K. Song

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave pp. 234-250

Liana Jacobi, Helga Wagner and Sylvia Frühwirth-Schnatter

The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series pp. 251-270

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

Model averaging in semiparametric estimation of treatment effects pp. 271-289

Toru Kitagawa and Chris Muris

Volume 192, issue 2, 2016

Structural analysis with Multivariate Autoregressive Index models pp. 332-348

Andrea Carriero, George Kapetanios and Massimiliano Marcellino

A multi-country approach to forecasting output growth using PMIs pp. 349-365

Alexander Chudik, Valerie Grossman and Mohammad Pesaran

The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case pp. 366-373

Brian D.O. Anderson, Manfred Deistler, Elisabeth Felsenstein and Lukas Koelbl

Large Bayesian VARMAs pp. 374-390

Joshua Chan, Eric Eisenstat and Gary Koop

Dynamic prediction pools: An investigation of financial frictions and forecasting performance pp. 391-405

Marco Del Negro, Raiden B. Hasegawa and Frank Schorfheide

Striated Metropolis–Hastings sampler for high-dimensional models pp. 406-420

Daniel Waggoner, Hongwei Wu and Tao Zha

Joint confidence sets for structural impulse responses pp. 421-432

Atsushi Inoue and Lutz Kilian

Robust econometric inference with mixed integrated and mildly explosive regressors pp. 433-450

Peter Phillips and Ji Hyung Lee

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point pp. 451-467

David Harris, Stephen Leybourne and Robert Taylor

Vector autoregressive moving average identification for macroeconomic modeling: A new methodology pp. 468-484

Donald Poskitt

Gaussian mixture vector autoregression pp. 485-498

Leena Kalliovirta, Mika Meitz and Pentti Saikkonen

TENET: Tail-Event driven NETwork risk pp. 499-513

Wolfgang Karl Härdle, Weining Wang and Lining Yu

Volume 192, issue 1, 2016

Exploiting the errors: A simple approach for improved volatility forecasting pp. 1-18

Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg

Bayesian semiparametric modeling of realized covariance matrices pp. 19-39

Xin Jin and John Maheu

Efficiency of thin and thick markets pp. 40-54

Li Gan and Qi Li

Root-T consistent density estimation in GARCH models pp. 55-63

Aurore Delaigle, Alexander Meister and Jeroen Rombouts

Inference on co-integration parameters in heteroskedastic vector autoregressions pp. 64-85

H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators pp. 86-104

Seojeong Lee

Predictive quantile regression with persistent covariates: IVX-QR approach pp. 105-118

Ji Hyung Lee

Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models pp. 119-138

Yacine Ait-Sahalia and Joon Y. Park

Model averaging based on leave-subject-out cross-validation pp. 139-151

Yan Gao, Xinyu Zhang, Shouyang Wang and Guohua Zou

Nonstationarity in time series of state densities pp. 152-167

Yoosoon Chang, Chang Sik Kim and Joon Y. Park

A reexamination of stock return predictability pp. 168-189

Yongok Choi, Stefan Jacewitz and Joon Y. Park

Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem pp. 190-206

Christian Aßmann, Jens Boysen-Hogrefe and Markus Pape

Testing for Granger causality with mixed frequency data pp. 207-230

Eric Ghysels, Jonathan B. Hill and Kaiji Motegi

Bootstrap inference for instrumental variable models with many weak instruments pp. 231-268

Wenjie Wang and Maximilien Kaffo

A dual approach to inference for partially identified econometric models pp. 269-290

Hiroaki Kaido

Individual and time effects in nonlinear panel models with large N, T pp. 291-312

Ivan Fernandez-Val and Martin Weidner

The effects of asymmetric volatility and jumps on the pricing of VIX derivatives pp. 313-328

Yang-Ho Park